Consider;

A high information coefficient of an active portfolio indicates that

Select one:

a. the managers have good access to a variety of investment opportunities.

b. the managers are skillful in terms of forecasting the return of the assets.

c. the managers can operate the fund with very few positional constraints

d. the portfolio delivers a high and consistent active return.

3.

In an economy where the Capital Asset Pricing Model (CAPM) holds, the risk free interest rate is 1%. The expected return of the market portfolio is 16% and its standard deviation is 20%. Suppose there is a portfolio with expected return of 25%. What should be its standard deviation?

Select one:

a.32%

b.31.25%

c. Insufficient information to determine the answer.

d. 30%

4.

Historical simulation will be the most suitable for Value at Risk (VaR) computation if one:

Select one:

a. does not want to make any modelling assumption of asset returns

b. anticipates the market conditions might change significantly in the future.

c. wants to perform backtesting to validate the accuracy of the VaR estimates.

d. is looking for a simple mathematical formula to obtain the VaR estimates.

5

Let A/B denote the value of currency A denominated in currency B. Given the spot exchange rate levels of AUD/USD=0.772 and CAD/USD=0.787. What is the theoretical value of CAD/AUD?

Select one:

a. 0.6076.

b. 1.0194

c. 1.2706

d. 0.9809

6.

International diversification is more likely to achieve significant risk reduction if one:

Select one:

a. allocates more capital to domestic assets where the information about those assets can be easily obtained.

b. focuses on high-quality assets from a single well developed market such as North America.

c. overweights on assets from emerging market where those markets tend to be less efficient.

d. spreads the investment across different geographical regions where their correlations tend to be low.

7.

Which of the following statements regarding non-systematic risk, systematic risk and total risk is/are true?

Select one or more:

a. A well diversified portfolio must have zero systematic risk

b. Under the Capital Asset Pricing Model (CAPM), an asset with zero systematic risk must have expected return equal to the riskfree rate.

c. A riskfree asset must have zero non-systematic risk.

d. As the number of assets within a portfolio increases, the total risk of a portfolio will go to zero.

8

Which of the following statements is/are the assumption(s) behind the Capital Asset Pricing Model (CAPM)?

Select one or more:

a. All investors can freely borrow or lend out money at the same interest rate.

b. All investors have the same degree of risk aversion.

c. All investors have identical belief over the expected values and standard deviations of the returns of the assets.

d. All investors can only hold well diversified portfolios

9

Which of the following best describes the underlying rationale for a written investment policy statement (IPS)?

Select one:

a. It provides investment managers with a ready defense against client lawsuits.

b. It communicates the process of portfolio construction in a transparent manner.

c. It highlights the expertises and services that could be brought by the investment managers.

d. It provides a platform for the investment managers to recommend profitable assets to their clients.

10.

The 5-day 95% Value at Risk (VaR) of a portfolio is USD 1 million. Which of the following statements is/are correct?

Select one or more:

a. The 5-days 95% Expected Shortfall of the portfolio must at least be USD 1 million.

b. There is 95% chance that the loss of the portfolio over the next 5 days will not exceed USD 1 million.

c. There is 5% chance that the loss of the portfolio over the next 5 days will exceed USD 1 million.

11.

Which of the following performance measures is the most appropriate for an investor who is not fully diversified?

Select one:

a. Jensen's alpha.

b. Information ratio.

c. Treynor ratio.

d. M-squared.

12.

Which of the following statements is/are true regarding Arbitrage Pricing Theory (APT) versus Capital Asset Pricing Model (CAPM)?

Select one or more:

a. APT does not require any statistical assumption of the returns of assets in the economy, but CAPM does.

b. APT requires assumption of no arbitrage while CAPM requires assumption of economic equilibrium.

c. Both APT and CAPM require identification of the market portfolio.

13.

Which of the following features is/are the main component(s) of Prospect Theory?

Select one or more:

a. Individuals are risk averse over positive outcomes but risk seeking over negative outcomes.

b. Individuals tend to overweight probabilities of extreme events.

c. Individuals tend to put too little weight on the base rate of an event.

14.

Which of the following is/are the plausible concern(s) related to the impact of algorithmic and high-frequency trading on securities markets?

Select one or more:

a. Increased complexity of regulatory oversight.

b. Snowballing effect of selling pressure which may lead to increased systematic risk.

c. Widening bid-ask spread.

15.

After interviewing a client X, you have made the following observations: X has a high income with about 20 years to retirement. She has no family dependents, has health insurance but no pension plan. She has a portfolio valued currently at USD 2 million concentrated in value stocks. Her responses to a standard risk assessment questionnaire suggest she is keen on taking investment risk to enhance her income.

The client is best described as having a:

Select one:

a. high ability to take risk, but a low willingness to take risk.

b. low ability to take risk, but a high willingness to take risk.

c. low ability to take risk and a low willingness to take risk.

d. high ability to take risk and a high willingness to take risk.

16.

Kinetic Ltd is a small firm listed on the exchange with very low average daily trading volume. A hedge fund has executed a large scale purchase of 10000 shares of the stock over the whole day, where the number of stocks purchased accounts for over 95% of today's trading volume in Kinetic Ltd. The VWAP transaction cost of this entire purchase execution is likely to be:

Select one:

a. a large negative number

b. undefined because the underlying stock is very illiquid.

c. a large positive number.

d. a number close to zero.

17.

You initially have a portfolio with 100% allocation to an active fund with active risk of 8% and information ratio of 0.5. You feel it is too risky and thus you now decide to allocate 75% of your capital to this active fund and 25% to the benchmark portfolio instead. Suppose the Sharpe ratio of the benchmark portfolio is 1.2. What will happen to the information ratio of your portfolio after the reallocation?

Select one:

a. Increase.

b. Insufficient information to determine the answer.

c. Remain unchanged.

d. Decrease.

18.

Suppose both covered and uncovered interest rate parities are holding for currency A and B. If the one-year A/B forward exchange rate is quoted as 0 in the professional FX market. Which of the following statements is/are true? (Remark: we adopt the convention that A/B is referring to the value of currency A denominated in currency B.)

Select one or more:

a. The expected change in the spot exchange rate of A/B over the next year is zero.

b. The actual one-year forward exchange rate of A/B is equal to its current spot exchange rate.

c. The one-year interest rates of currency A and B must be the same.

19.

Which of the following statements is/are valid criticism(s) of the "big data" approach to investment?

Select one or more:

a. Training data can be learnt too precisely, resulting in inaccurate predictions when used with different datasets.

b. It can only be applied to analyse data in numerical form.

c. The black-box nature of the approach might make the results interpretation difficult.

20.

The current limit order book of XYZ is given by the following:

Bid size

Bid price

Ask price

Ask size

300

8.2

8.3

100

400

8.1

8.4

50

450

8.0

8.5

500

You are going to executive a market order to buy 400 shares of XYZ. Assuming no new orders arrive at the market during your trade execution, what is your average cost per share of this transaction?

Select one:

a. 8.4375.

b. 8.175.

c. 8.1.

d. 8.5.

Classified Balance Sheet - four (4) questions Instructions: Please prepare a Classified Balance Sheet on your scratch paper based on the following Partial Adjusted Trial Balance. Use this Classified Balance Sheet to answer this question and the next three (3) questions. You will need to know the 1.) Total Current Assets, 2.) Total Long-term Assets, 3.) Total Current Liabilities, and 4.) Total Stockholders Equity to answer these four (4) questions. Question: Based on the Partial Trial Balance and Additional Info shown below, what is the amount of the Total Current Assets shown on the Classified Balance Sheet you prepared on your scratch paper? Adjusted Trial Balance December 31, 20xx Accounts Debit Credit Cash $25.143 Accounts Receivable 100,550 Inventory 40,000 Prepaid Rent 14,179 Equipment 25,000 Building 125,000 Accumulated Depreciation $ 50,000 Accounts Payable 25 143Identify the statment on which the following account appears: Fees Revenue Income Statement Balance Sheet QUESTION 12 Identify the statment on which the following account appears: Wages Payable Income Statement Balance Sheet QUESTION 13 Identify the statment on which the following account appears: Rent Expense Income Statement Balance Sheet Click Save and Submit to save and submit. Click Save All Answers to save all answers.QUESTION 37 Depreciation on printing machines 1. Cost of goods manufactured schedule. 2. Income statement. O 3. Balance sheet. QUESTION 38 Finished goods inventory, 12/31/2008 1. Cost of goods manufactured schedule O 2. Income statement. O 3. Balance sheet. QUESTION 39 Raw materials inventory, 1/1/2008 1. Cost of goods manufactured schedule 2. Income statement. 3. Balance sheet QUESTION 40 Cost of goods manufactured 1. Cost of goods manufactured schedule. 2. Income statement. O 3. Balance sheet. QUESTION 41 Work in process, 1/1/2008 1. Cost of goods manufactured schedule 2. Income statement. 3. Balance sheet Click Save and Submit to save and submit. Click Save All AnsIon 28 1 pts A balance sheet which reports percentages of total assets instead of dollar amounts is referred to as a balance sheet. Question 29 1 pts Cash $10000 Accounts Payable $30000 Accounts Receivable $30000 Notes Payable (due in 10 months) $25000 Inventory $80000 Wages Payable $5000 Long term assets $200000 Long term Liabilities $70000 The working capital is $- Show your work. Keep two decimal places to the ratios ~ Utilizing the income statement and balance sheet provided for the month ended December 31, 2017, calculate the 11 ratios to determine the financial strength of Grand Hotel. Revenues: Rooms 780,000 Food 430,000 Telecommunications 40.000 Total Revenues Cost of Sales: Rooms Food 142,000 Telecommunications 30.000 Total Cost of Sales Gross Profit: Rooms 780.000 Food 288,000 Telecommunications 10,000 Total Gross Profit Operating (Controllable) Expenses: ain ann Doumall and Eminlnunn Banafite M